Table 6. Long and short-run asymmetry...

Table 6.

Long and short-run asymmetry results (Model 17)

Asymmetry results	Long-run effect (+)			Long-run effect (−)
Variables	Coef.	F-stat	p-value	Coef.	F-stat	P-value
GFDD	0.671	8.812	0.007*	0.320	2.019	0.169
CMR	−2.231	21.51	0.000*	0.657	6.137	0.021**
GDPFC	−1.663	19.13	0.000*	1.841	17.89	0.000*
TO	−0.363	2.362	0.139	−0.656	3.670	0.064***
OPI	0.016	0.079	0.780	0.000	0.300	0.998
	Long-run asymmetry			Short-run asymmetry
	W_LR			W_SR
	F-stat	p-value		F-Stat	p-value
GFDD	6.153	0.021**		3.269	0.084***
CMR	17.81	0.000*		9.697	0.005*
GDPFC	1.132	0.299		8.000	0.010**
TO	5.833	0.024**		6.908	0.015**
OPI	0.236	0.632		0.098	0.756
Cointegration test	F_PSS	t_BDM
	4.721**	−5.551**
Model diagnostics	Test statistics	p-value
$χ_{S c}^{2}$	15.31	0.758
$χ_{B P G}^{2}$	0.364	0.546
$χ_{N O R}^{2}$	0.296	0.862
RAMSEY F_test	0.607	0.163

Notes:

INF= f (GFDD, CMR, GDPFC, TO, OPI). Note: F_PSS and t_BDM are the long-run cointegration test statistics. *; ** and *** denote the 1, 5 and 10% significance levels, respectively. $χ_{S c}^{2}$ represent the portmanteau serial correlation test, $χ_{B P G}^{2}$ denote the Breusch-Pagan-Godfrey heteroskedasticity test, Ramsey F is the RESET test and finally the Jarque-Bera normality test is denoted by $χ_{N O R}^{2}$ ⁠. General to specific approach is followed, with an initial set up comprising max p = max q = 2. The relevant 5% and 10% upper bound critical values of t_BDM for k = 5 (without taking partial decomposition into consideration) are −4.19 and −3.86 and for k = 10 (when partial sum decompositions are independently treated as regressors) are −5.03 and −4.69. Similarly, for the F_PSS test the relevant 5% and 10% upper bound critical values for k = 5 are 3.79 and 3.35 and for k = 10 are 3.24 and 2.94, respectively

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